Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0655
Annualized Std Dev 0.2500
Annualized Sharpe (Rf=0%) 0.2619

Row

Daily Return Statistics

Close
Observations 4206.0000
NAs 1.0000
Minimum -0.1331
Quartile 1 -0.0067
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0077
Maximum 0.1018
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0158
Skewness -0.4099
Kurtosis 8.2821

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0111
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.6485
Historical VaR (95%) -0.0230
Historical ES (95%) -0.0383
Modified VaR (95%) -0.0247
Modified ES (95%) -0.0477
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-04-28 -0.6485 984 444 540
2018-08-22 2020-03-23 2021-02-22 -0.5331 629 398 231
2011-05-02 2011-10-03 2012-09-07 -0.2769 343 108 235
2015-03-24 2016-02-11 2016-11-11 -0.2514 416 225 191
2018-01-24 2018-04-02 2018-08-21 -0.1167 146 47 99

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA 0.2 0.5 1.6 0.5 1.5 0.1 4.4
2005 0.8 1.1 -0.7 0.6 1.1 0.5 0.4 0.6 0.2 -0.3 2 -0.8 5.7
2006 0.4 1 0.4 -0.3 1.9 -0.1 -0.9 0.1 -0.9 -1.6 -0.6 -1.1 -1.7
2007 1 0.2 0.4 0.2 0.9 -1.7 0.8 1.6 2.2 -4.4 1 -0.2 1.8
2008 2.1 -2.6 3.1 2.5 -0.5 0.2 0.4 -0.9 -0.4 4.4 -12.1 3.4 -1.6
2009 -3.6 -1.1 1.6 0.2 4.5 2.1 0.5 -3.6 -3.3 -3.3 1.9 -1.4 -5.9
2010 1.5 1.8 0.8 -2.8 -3.7 -0.8 0 3.8 0.5 -0.6 2 -0.6 1.7
2011 1.7 -1.5 0.6 0.2 -2.5 1.7 -0.6 -2.3 -2.9 -3.5 -0.6 -0.6 -9.9
2012 2 0.4 -0.1 0.3 -2.5 2.6 -1.3 0.2 0.3 1.5 0 1.9 5.5
2013 0.9 -0.3 -1.1 -2.1 -0.8 1.2 1.6 -1.4 1.1 0 0.2 0.1 -0.6
2014 -0.6 0.3 0.8 -0.1 0.1 1.2 -0.4 0.4 -1.2 1.5 -1.8 -1 -0.8
2015 -1.5 -0.2 0 0.6 -0.1 0.4 0.1 -3.1 -0.2 -0.2 0.6 -1 -4.4
2016 0.6 1.8 -0.1 -0.2 0.3 1 -1 -0.2 1.2 -1.2 -0.2 -0.4 1.6
2017 -0.3 1.8 0.3 0.3 1.8 0.1 0.1 0.6 0 -0.2 -0.4 -0.1 3.9
2018 0.1 -0.4 1.2 0 0.9 0.3 -0.5 0 -0.8 0.7 0.6 0.5 2.6
2019 0.1 0.6 1.7 -0.9 -1.2 0.1 -2.9 0.2 -1.9 1.9 -0.8 0.2 -3
2020 -1.8 -2 -6.1 -4.5 1.6 -2 -1.1 0.6 1 -0.5 1.5 0 -12.6
2021 1.4 2.5 0 NA NA NA NA NA NA NA NA NA 4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-07-06  59.9 SPY    112. -0.0088  -1.38e-2  -0.0018  -0.024     0.133  -0.0789   -0.168 <NA>     NA    NA       NA
2 2004-07-07  59.8 SPY    112.  0.00290 -1.49e-2  -0.0067  -0.0265    0.114  -0.0813   -0.181 <NA>     NA    NA       NA
3 2004-07-08  59.6 SPY    111. -0.0071  -2.72e-2  -0.0286  -0.0303    0.102  -0.0912   -0.193 <NA>     NA    NA       NA
4 2004-07-09  59.2 SPY    112.  0.0028  -1.07e-2  -0.0273  -0.0253    0.111  -0.0999   -0.198 <NA>     NA    NA       NA
5 2004-07-12  59   SPY    112.  0.0004  -9.70e-3  -0.0177  -0.0226    0.126  -0.0993   -0.198 <NA>     NA    NA       NA
6 2004-07-13  59.4 SPY    112.  0.0007  -3.00e-4  -0.0218  -0.0258    0.116  -0.0807   -0.198 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart